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Year of publication
Subject
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Arbitrage Pricing 2 Arbitrage pricing 2 CAPM 2 Capital income 2 Correlation 2 Estimation 2 Kapitaleinkommen 2 Korrelation 2 Portfolio selection 2 Portfolio-Management 2 Risikoprämie 2 Risk premium 2 Schätzung 2 Theorie 2 Theory 2 Big stocks 1 Börsenkurs 1 Correlation premium 1 Cross-section of returns 1 Implied correlation 1 Premium for correlation risk 1 Share price 1 String models 1 arbitrage pricing 1 big stocks 1 correlation premium 1 cross-section of returns 1 implied correlation 1 premium for correlation risk 1 string models 1
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Online availability
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Free 2
Type of publication
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Article 1 Book / Working Paper 1
Type of publication (narrower categories)
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Arbeitspapier 1 Article in journal 1 Aufsatz in Zeitschrift 1 Graue Literatur 1 Non-commercial literature 1 Working Paper 1
Language
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English 2
Author
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Distaso, Walter 2 Mele, Antonio 2 Vilkov, Grigory 2
Published in...
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Quantitative finance 1 Research paper series / Swiss Finance Institute 1
Source
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ECONIS (ZBW) 2
Showing 1 - 2 of 2
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Cross-section without factors : a string model for expected returns
Distaso, Walter; Mele, Antonio; Vilkov, Grigory - In: Quantitative finance 24 (2024) 6, pp. 693-718
Persistent link: https://www.econbiz.de/10015050788
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Cover Image
Cross-section without factors : correlation risk, strings and asset prices
Distaso, Walter; Mele, Antonio; Vilkov, Grigory - 2021 - This version: January 13, 2021
Many asset pricing theories treat the cross-section of returns volatility and correlations as two intimately related quantities driven by common factors, which hinders achieving a neat definition of a correlation premium. We formulate a model without factors, but with a continuum of securities...
Persistent link: https://www.econbiz.de/10012421289
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